Cannot create Euro Symbol
Blender's default font for Text Objects (called "BFont") doesn't have the Euro symbol (August 2015). Import a different font, one that does have the Euro € symbol.

obj = bpy.data.objects['some_text_object']
obj.data.body = chr(8364) * 4


This would show 4 Euro symbols, if the Glyph is present in the table.